Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 4 | 6 | 4 |
| Score | -4.77 | -3.44 | -5.72 |
| Market Cap (Millions USD) | 3114.78 | 2784.27 | 2846.93 |
| Predicted Beta | 0.38 | 0.38 | 0.38 |
| Idiosyncratic Volatility | 1.33 | 1.5 | 1.89 |
Annualized return and volatility
| EWT | |
|---|---|
| Annualized Return | 0.0267 |
| Annualized Std Dev | 0.2930 |
| Annualized Sharpe (Rf=0%) | 0.0911 |
Row
Daily Return Statistics
| EWT | |
|---|---|
| Observations | 4991.0000 |
| NAs | 123.0000 |
| Minimum | -0.1163 |
| Quartile 1 | -0.0084 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0089 |
| Maximum | 0.1416 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0185 |
| Skewness | 0.1205 |
| Kurtosis | 5.6211 |
Downside Risk
| EWT | |
|---|---|
| Semi Deviation | 0.0131 |
| Gain Deviation | 0.0134 |
| Loss Deviation | 0.0135 |
| Downside Deviation (MAR=210%) | 0.0176 |
| Downside Deviation (Rf=0%) | 0.0129 |
| Downside Deviation (0%) | 0.0129 |
| Maximum Drawdown | 0.6436 |
| Historical VaR (95%) | -0.0285 |
| Historical ES (95%) | -0.0436 |
| Modified VaR (95%) | -0.0274 |
| Modified ES (95%) | -0.0392 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-07-18 | 2002-10-07 | 2007-10-29 | -0.6436 | 1862 | 566 | 1296 |
| 2007-10-30 | 2008-11-20 | 2011-01-27 | -0.6291 | 833 | 275 | 558 |
| 2015-04-28 | 2016-01-15 | 2017-02-10 | -0.3134 | 459 | 186 | 273 |
| 2011-02-08 | 2011-12-19 | 2014-04-09 | -0.2908 | 811 | 221 | 590 |
| 2018-01-23 | 2019-01-03 | 2019-10-17 | -0.2049 | 445 | 244 | 201 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWT | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | 0.0 | 0.0 | -3.0 | 0.0 | -1.5 | 2.2 | 0.0 | -2.3 |
| 2001 | 0.7 | -2.2 | 0.0 | 0.4 | 0.3 | 0.0 | 2.4 | 0.0 | -0.1 | 0.3 | 0.0 | 0.0 | 1.5 |
| 2002 | -1.8 | 1.7 | -1.0 | 0.9 | 0.0 | -7.6 | -1.1 | 0.0 | -2.0 | 2.0 | 0.0 | 0.0 | -8.8 |
| 2003 | 0.0 | 0.0 | 2.1 | 0.1 | 0.0 | 4.5 | -0.2 | 0.0 | 1.8 | 0.0 | 2.4 | 0.0 | 11.1 |
| 2004 | 0.0 | 4.8 | 2.5 | 0.0 | -2.8 | -2.5 | 0.0 | 1.2 | 3.6 | -0.6 | 0.5 | 0.0 | 6.7 |
| 2005 | 0.0 | 1.6 | 0.7 | 0.0 | -0.5 | 0.0 | 0.9 | 0.3 | 0.0 | -0.5 | 0.8 | 0.0 | 3.4 |
| 2006 | -0.2 | 3.2 | 0.0 | 0.5 | 2.6 | 0.0 | -1.9 | 2.2 | 0.0 | -1.4 | 0.1 | 0.0 | 5.0 |
| 2007 | 0.4 | -0.7 | 0.0 | 0.5 | 1.4 | 0.0 | -2.7 | 0.0 | 2.8 | -4.7 | 0.0 | 0.0 | -3.2 |
| 2008 | 4.1 | 0.0 | 3.0 | 2.2 | 0.0 | -1.2 | -0.5 | 0.0 | -0.3 | 0.0 | -6.2 | 0.0 | 0.8 |
| 2009 | 0.0 | 0.0 | 4.5 | 0.9 | 1.2 | 2.3 | 0.0 | 1.1 | -1.3 | 0.0 | 1.6 | 0.0 | 10.6 |
| 2010 | -0.2 | 2.2 | 2.6 | 0.0 | -1.7 | -0.2 | 0.0 | 1.8 | 0.6 | 0.9 | 2.8 | 0.0 | 9.2 |
| 2011 | 2.5 | 0.0 | 1.6 | 0.0 | -0.1 | 1.4 | 0.4 | -1.1 | 0.0 | -0.5 | 1.1 | 0.0 | 5.3 |
| 2012 | 1.4 | 1.6 | 0.0 | 0.4 | -3.9 | 0.0 | 0.3 | 0.0 | 0.7 | 1.3 | 0.0 | 0.0 | 1.8 |
| 2013 | 0.3 | 0.3 | -0.1 | -0.9 | 0.0 | 0.5 | 0.7 | 0.0 | 1.7 | -0.8 | 0.0 | 0.0 | 1.7 |
| 2014 | 0.0 | 0.0 | 1.3 | 0.1 | 0.0 | 1.8 | 0.4 | 0.0 | -1.0 | 0.0 | -1.6 | 0.0 | 0.9 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.9 | -0.9 | 1.5 | 0.0 | -2.9 | 2.1 | 0.0 | 2.1 | 0.0 | 2.6 |
| 2016 | 0.0 | 3.0 | -0.5 | 0.0 | 0.8 | 1.1 | 1.1 | 0.3 | 0.0 | -1.1 | -1.1 | 0.0 | 3.7 |
| 2017 | 0.1 | 0.5 | 0.0 | 0.4 | 1.0 | 0.0 | 0.4 | 0.5 | 0.0 | -0.2 | -0.3 | 0.0 | 2.5 |
| 2018 | -0.3 | 0.4 | 0.0 | -0.4 | 1.8 | 0.0 | 0.0 | 0.0 | 0.3 | 2.3 | 0.0 | 0.0 | 4.2 |
| 2019 | -0.8 | 0.5 | 0.9 | -0.3 | 0.0 | 1.7 | -1.8 | 0.0 | 0.2 | 1.2 | 0.0 | -0.5 | 0.9 |
Row
Rolling Performance Chart
Snail Trail Chart
